Time series momentum

Bibliographic record. Follow the original-source link for the publication.

Field	Value
Primary domain	Unclassified
Other domains	—
Methods	—
Facets	—
Authors	Tobias J. Moskowitz, Yao Hua Ooi, Lasse Heje Pedersen
Published	2012-05
Source	Journal of Financial Economics
Identifiers	doi:10.1016/j.jfineco.2011.11.003
URL	Open original source

Editorial synthesis

Why it matters

The paper defines trend through an instrument's own past-return predictability and tests it across futures asset classes, making it foundational for evaluating managed-futures and cross-asset trend evidence. (abstract:S1, abstract:S2, abstract:S3)

Main author claims

• The authors report significant time-series momentum across 58 liquid equity-index, currency, commodity, and bond futures. (abstract:S1)
• The authors report return persistence over one to twelve months followed by partial reversal at longer horizons. (abstract:S2)
• The authors report abnormal returns for a diversified cross-asset strategy with limited standard-factor exposure; they interpret speculator and hedger positions as the former benefiting from time-series momentum while the latter take the other side. (abstract:S3, abstract:S4)

Data, method, or discussion scope

The abstract covers 58 liquid futures across four asset classes, one-to-twelve-month persistence and longer-run reversal, diversified-portfolio results, and a speculator-versus-hedger interpretation; it omits sample dates, trading costs, and estimation details. (abstract:S1, abstract:S2, abstract:S3, abstract:S4)

Main limitations

The abstract's abnormal-return and extreme-market claims are not directly investable net returns. The speculator-versus-hedger result supports the authors' interpretation but does not identify motives or a causal mechanism; implementation still depends on rolls, volatility scaling, financing, costs, capacity, and regime stability. (abstract:S1, abstract:S2, abstract:S3, abstract:S4)

Relationships

• None recorded.